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25 May 2004 Path integrals in fluctuating markets
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Proceedings Volume 5471, Noise in Complex Systems and Stochastic Dynamics II; (2004) https://doi.org/10.1117/12.548795
Event: Second International Symposium on Fluctuations and Noise, 2004, Maspalomas, Gran Canaria Island, Spain
Abstract
In this short note we propose an approach for calculating option prices in financial markets in the framework of path integrals. We review various techniques from engineering and physics applied to the theory of financial risks. We explore how the path integral methods may be used to study financial markets quantitatively and we also suggest a method in calculating transition probabilities for option pricing using real data in that framework.
© (2004) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
Frederic D. R. Bonnet, Andrew G. Allison, and Derek Abbott "Path integrals in fluctuating markets", Proc. SPIE 5471, Noise in Complex Systems and Stochastic Dynamics II, (25 May 2004); https://doi.org/10.1117/12.548795
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